Behavioral Heterogeneity and Excessive Volatility of RMB Exchange Rate
نویسندگان
چکیده
The paper develops a two-type behavioral heterogeneous agent model including fundamentalists and chartists. It examines whether investors’ heterogeneity is related to the excessive volatility of RMB exchange rate. We use deviation real rate from fundamental as measure volatility. value calculated by revised with cointegration technology. After estimating using monthly data October 2006 November 2020, we find that traders in price trading strategies can significantly explain excess Our analysis two significant fluctuations 2015-2016 2018-2019 further corroborates our key finding plays an important role explaining
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ژورنال
عنوان ژورنال: Journal of Risk Analysis and Crisis Response
سال: 2022
ISSN: ['2210-8505', '2210-8491']
DOI: https://doi.org/10.54560/jracr.v12i3.333